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Posted on Sep 30, 2024

Let S = $64, s = 45%, r = 5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes price for a $60-strike European put

Let S = $64, s = 45%, r = 5%, and d = 2.5% (continuously compounded). Compute the Black-Scholes price for a $60-strike European put option with 9 months until expiration.

Correct answer is $7.02

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No excel please.

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